Sure--that is how the implied volatility surface is calculated. This may be helpful: http://en.wikipedia.org/wiki/Volatility_smile Any trading platform will calculate the implied volatility of an option for you based upon the current price.

It's just algebra. Rearrange the forumula so that volatility is on the left and plug in the other values.

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Black-Scholes is a differential equation, and you can't rearrange it with just algebra to run backward from price to volatility. But numerically, you can get volatility for a given price by probing for it like panzerman's program does.

Black-Scholes is a differential equation, and you can't rearrange it with just algebra to run backward from price to volatility. But numerically, you can get volatility for a given price by probing for it like panzerman's program does.

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Haha, apologies to OP. I wasn't at my programming PC when I wrote that.

I implemented it in C++ in a similar fashion to the code snippet posted earlier. You try different IV values until the calculated option price is close to the market price. You can do it slowly with a linear search or faster with a binary search.

Haha, apologies to OP. I wasn't at my programming PC when I wrote that.

I implemented it in C++ in a similar fashion to the code snippet posted earlier. You try different IV values until the calculated option price is close to the market price. You can do it slowly with a linear search or faster with a binary search.

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What he said, most applications apply an iterative method to find implied vols

I implemented it in C++ in a similar fashion to the code snippet posted earlier. You try different IV values until the calculated option price is close to the market price. You can do it slowly with a linear search or faster with a binary search.

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Almost always, Newton-Raphson off of a decent initial guess is going to be fastest.

Almost always, Newton-Raphson off of a decent initial guess is going to be fastest.

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Yes, but NR is a derivative technique. If the price-volatility curve is relatively smooth, such as European style exercise, fine. If the curve has discontinuities, or inflection points, then NR can blow up.